Physical activity and exercise have several beneficial effects for physical and psychological health in young and aged subjects. Exercise may reduce age-related lean body mass loss and risk for several chronic diseases including coronary artery disease, hypertension, non-insulin-dependent diabetes mellitus, anxiety, depression, functional decline, and frailty. Exercise, however, especially when performed strenuously, is associated with increased production of reactive oxygen species, able to consume endogenous antioxidants and eventually to damage biological molecules and key cellular components. Therefore, the balance between beneficial and potentially harmful effects of exercise might be of particular importance in the elderly, in which nutritional deficiencies, sedentary lifestyle, and comorbidity commonly concur to a depletion of the antioxidant reservoir of the organism and increased susceptibility to oxidative stress. The aim of this review is to summarize current experimental, clinical, and epidemiological knowledge regarding known associations and potential links between oxidative stress and physical activity/exercise during aging. Before a final recommendation can be made with respect to the possible preventive and therapeutical role of antioxidant supplementation in aged exercising people, there is a substantial need for further studies to be performed on this topic.